Quarterly Report on Bank Trading And Derivatives … 30, 2016 · Equity $4,657 $3,612 $1,045 28.9% $3,196 $1,461 45.7% ... Quarterly Report on Bank Trading and Derivatives Activities,

Quarterly Report on Bank Trading and Derivatives Activities

Third Quarter 2016

Office of the Comptroller of the Currency Washington, D.C.

January 2017

Quarterly Report on Bank Trading and Derivatives Activities, Third Quarter 2016

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Contents

Executive Summary ...................................................................................................... 3

Revenue ......................................................................................................................... 4

Insured U.S. Commercial Banks and Savings Associations’ Trading Revenue ........... 4

Holding Company Trading Revenue ............................................................................ 4

Bank Trading Revenue as a Percent of Consolidated Holding Company Trading Revenue ...................................................................................................................... 5

Credit Risk ..................................................................................................................... 6

Market Risk .................................................................................................................. 11

Value-at-Risk ............................................................................................................. 11

Level 3 Trading Assets .............................................................................................. 12

Credit Derivatives ...................................................................................................... 13

Notional Amounts ...................................................................................................... 13

Glossary of Terms ....................................................................................................... 16

Index of Tables and Figures ....................................................................................... 18

Appendix: Supplementary Graphs and Tables ......................................................... 19


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Executive Summary

Insured U.S. commercial banks and savings associations (collectively, banks) reported trading revenue of $6.4 billion in the third quarter of 2016, $0.6 billion less (8.6 percent) than in the previous quarter and $1.1 billion higher (20.8 percent) than a year earlier (see page 4).

Credit exposure from derivatives decreased in the third quarter of 2016 as compared to the second quarter. Net current credit exposure (NCCE) decreased $24.0 billion, or 4.7 percent, to $481.7 billion (see page 8).

Trading risk, as measured by value-at-risk (VaR), decreased in the third quarter of 2016. Total average VaR across the top five dealer banking companies decreased $21.0 million, or 7.1 percent, to $274.0 million (see page 11).

Derivative notional amounts decreased in the third quarter by $12.4 trillion, or 6.5 percent, to $177.5 trillion (see page 14).

Derivative contracts remained concentrated in interest rate products, which represented 74.9 percent of total derivative notional amounts (see page 14).

The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivative activities is based on call report information provided by all insured U.S. commercial banks (including trust companies) and savings associations; reports filed by U.S. financial holding companies; and other published data. A total of 1,438 insured U.S. commercial banks and savings associations reported derivative activities at the end of the third quarter of 2016. A small group of large financial institutions continues to dominate derivative activity in the U.S. commercial banking system. During the third quarter of 2016, four large commercial banks represented 89.7 percent of the total banking industry notional amounts and 84.4 percent of industry NCCE (see table 4 in the appendix).

The OCC and other supervisors have dedicated examiners at the largest banks to evaluate continuously the credit, market, operational, reputation, and compliance risks of bank derivative activities. In addition to the OCC’s supervisory activities, the OCC works with other financial supervisors and major market participants to address infrastructure, clearing, and margining issues in over-the-counter (OTC) derivatives. OCC activities include development of objectives and milestones for stronger trade processing and improved market transparency across all OTC derivative categories, migration of certain highly liquid products to clearinghouses, and requirements for posting and collecting margin.


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Revenue

Insured U.S. Commercial Banks and Savings Associations’ Trading Revenue

Insured U.S. commercial banks and savings associations reported $6.4 billion in trading revenue in the third quarter of 2016, $0.6 billion less (8.6 percent) than in the previous quarter and $1.1 billion more (20.8 percent) than a year earlier (see table 1).

Relative to the second quarter of 2016, third quarter trading revenue declined. Combined interest rate and foreign exchange (FX) revenue led the decline, with revenue decreasing $0.4 billion to $5.3 billion. Since dealers often use interest rate contracts to hedge exposures in FX derivatives, it is useful to view these categories collectively.

After a slow start to the year, bank trading revenue over the past two quarters has brought year-to-date trading revenue near historical averages. Trading results for the second and third quarters of 2016 were the second highest recorded for each respective quarter since 2000.

Table 1. Quarterly Bank Trading Revenue, in Millions of Dollars

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

Change 2015 Q3Y/Y

ChangeY/Y %

ChangeInterest Rate $2,960 $1,904 $1,056 55.4% $2,578 $382 14.8%Foreign Exchange $2,294 $3,736 -$1,442 -38.6% $1,931 $363 18.8%Equity $729 $972 -$243 -25.0% $49 $680 1393.6%Commodity & Other $354 $161 $192 119.5% $402 -$48 -12.0%Credit $86 $257 -$171 -66.4% $357 -$270 -75.8%Total Trading Revenue $6,423 $7,031 -$608 -8.6% $5,316 $1,107 20.8%

Source: Call report, Schedule RI

Holding Company Trading Revenue

Consolidated bank holding company (BHC) trading performance provides a more complete picture of trading revenue in the banking system. As shown in table 2, consolidated holding company trading revenue of $14.8 billion in the third quarter of 2016 was $0.3 billion (1.9 percent) lower than in the previous quarter. A $1.7 billion decrease in combined credit and commodity revenue, offset by an increase of $1.4 billion in combined equity, interest rate and FX revenue, drove the decrease in trading revenue from the previous quarter. Year-over-year holding company trading results improved by $5.2 billion (54.7 percent), with combined interest rate and FX trading revenue increasing $3.9 billion (103 percent).

Table 2. Quarterly Holding Company Trading Revenue, in Millions of Dollars

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

Change 2015 Q3Y/Y

ChangeY/Y %

ChangeInterest Rate $4,561 $2,973 $1,589 53.4% $2,403 $2,158 89.8%Foreign Exchange $3,164 $4,318 -$1,155 -26.7% $1,393 $1,770 127.1%Equity $4,657 $3,612 $1,045 28.9% $3,196 $1,461 45.7%Commodity & Other $784 $1,491 -$707 -47.4% $2,146 -$1,362 -63.5%Credit $1,670 $2,724 -$1,053 -38.7% $452 $1,218 269.3%Total HC Trading Revenue $14,837 $15,118 -$282 -1.9% $9,591 $5,246 54.7%

Source: Consolidated Financial Statements for Holding Companies—FR Y-9C, Schedule HI


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Bank Trading Revenue as a Percent of Consolidated Holding Company Trading Revenue

Before the financial crisis, trading revenue at banks typically ranged from 60 percent to 80 percent of consolidated BHC trading revenue. Since the financial crisis and the adoption of bank charters by the former investment banks, the percentage of bank trading revenue to consolidated BHC trading revenue has fallen and is now between 30 percent and 50 percent. This decline reflects the significant amount of trading activity by the former investment banks that, while included in BHC results, remains outside the insured commercial banks. More generally, insured U.S. commercial banks and savings associations have more limited legal authorities than their holding companies, particularly in trading commodity and equity products.

In the third quarter of 2016, banks generated 43.3 percent of consolidated holding company trading revenue, down from 45.5 percent in the previous quarter (see figure 1).

Figure 1. Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue

Source: Consolidated Financial Statements for Holding Companies—FR Y-9C (Schedule HI) and call report (Schedule RI)


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Credit Risk

Credit risk is a significant risk in bank derivative trading activities. The notional amount of a derivative contract is a reference amount that determines contractual payments, but it is generally not an amount at risk. The credit risk in a derivative contract is a function of a number of variables, such as whether counterparties exchange notional principal, the volatility of the underlying market factors (interest rate, currency, commodity, equity, or corporate reference entity), the maturity and liquidity of the contract, and the creditworthiness of the counterparty.

Credit risk in derivatives differs from credit risk in loans because of the more uncertain nature of the potential credit exposure. Because the credit exposure is a function of movements in market factors, banks do not know, and can only estimate, how much the value of the derivative contract might be at various points in the future.

The credit exposure is bilateral in most derivative transactions, such as swaps (which make up the bulk of bank derivative contracts). Each party to the contract may (and, if the contract has a long enough tenor, probably will) have a current credit exposure to the other party at various times during the contract’s life. With a funded traditional loan, the amount at risk is the amount advanced to the borrower. The credit risk is unilateral as the bank faces the credit exposure of the borrower.

Measuring credit exposure in derivative contracts involves identifying those contracts where a bank would lose value if the counterparty to a contract defaulted. The total of all contracts with positive value (i.e., derivative receivables) to the bank is the gross positive fair value (GPFV) and represents an initial measurement of credit exposure. The total of all contracts with negative value (i.e., derivative payables) to the bank is the gross negative fair value (GNFV) and represents a measurement of the exposure the bank poses to its counterparties.

GPFV decreased by $0.5 trillion (12.6 percent) in the third quarter of 2016 to $3.6 trillion, driven by a 12.9 percent decrease in receivables from interest rate and FX contracts (see table 3). Because interest rate contracts make up 80.1 percent of total notional derivative contracts, changes in interest rates drive credit exposure in derivative portfolios. Declines in interest rates tend to increase exposure. This effect has increased in recent years, as the maturity profile of interest rate derivatives has increased, making credit exposure more sensitive to changes in longer-term rates.

Because banks hedge the market risk of their derivative portfolios, a similar increase in GNFVs matched the change in GPFV. Derivative payables, GNFV, decreased $0.5 trillion (12.9 percent) to $3.5 trillion during the quarter, driven by decreases in payables on interest rate and FX contracts.


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Table 3. Gross Positive Fair Values and Gross Negative Fair Values, in Billions of Dollars

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

Change 2015 Q3Y/Y

ChangeY/Y %

ChangeInterest Rate $2,853 $3,120 -$267 -8.6% $2,491 $362 14.5%Foreign Exchange $481 $706 -$225 -31.8% $569 -$89 -15.6%Equity $96 $101 -$5 -4.9% $118 -$22 -18.3%Commodity & Other $42 $51 -$9 -18.2% $63 -$21 -33.0%Credit $91 $101 -$10 -9.8% $131 -$40 -30.4%Gross Positive Fair Value $3,563 $4,079 -$516 -12.6% $3,372 $192 5.7%

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

Change 2015 Q3Y/Y

ChangeY/Y %

ChangeInterest Rate $2,776 $3,045 -$269 -8.8% $2,414 $362 15.0%Foreign Exchange $467 $694 -$227 -32.7% $585 -$117 -20.0%Equity $95 $95 $0 0.0% $110 -$15 -13.9%Commodity & Other $44 $54 -$10 -18.9% $69 -$25 -36.6%Credit $91 $100 -$9 -9.3% $126 -$36 -28.2%Gross Negative Fair Value $3,473 $3,988 -$516 -12.9% $3,305 $168 5.1%Source: Call report, Schedule RC-L

A legally enforceable netting agreement with a counterparty creates a single legal obligation for all transactions (called a “netting set”) under the agreement. Therefore, when banks have such agreements with their counterparties, contracts with negative values (an amount a bank would pay to its counterparty) can offset contracts with positive values (an amount owed by the counterparty to the bank), leaving an NCCE as shown in table 4.

Table 4. Netting Contract Examples

Bank A Portfolio With Counterparty B Number of Contracts

Value of Contracts

Credit Measure/Metric

Contracts With Positive Value to Bank A 6 $500 Gross Positive Fair Value

Contracts With Negative Value to Bank A 4 $350 Gross Negative Fair Value

Total Contracts 10 $150 NCCE to Bank A From Counterparty B

Most, but not necessarily all, derivative transactions that a bank has with an individual counterparty are typically subject to a legally enforceable netting agreement. Some transactions may be subject to the laws of a jurisdiction that does not provide legal certainty of netting agreements, in which case banks must regard such transactions as separate from the netting set. Other transactions may involve nonstandard contractual documentation. Transactions that are not subject to the same legally enforceable netting agreement become unique netting sets that have distinct values that cannot be netted, and for which the appropriate current credit measure is the gross exposure to the bank, if that amount is positive. In some cases, transactions that fall under separate netting sets may be tied together under a separate legally enforceable netting agreement. While banks can net exposures within a netting set under the same netting agreement, they cannot net exposures across netting sets without a separate legally enforceable netting agreement. As a result, a bank’s NCCE to a particular counterparty equals the sum of the credit exposures across all netting sets with that counterparty. A bank’s NCCE across all counterparties equals the sum of its NCCE to each of its counterparties.

NCCE is the primary metric the OCC uses to evaluate credit risk in bank derivative activities. NCCE for insured U.S. commercial banks and saving associations decreased by $24.0 billion


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(4.7 percent) to $481.7 billion in the third quarter of 2016 (see table 5).1 Legally enforceable netting agreements allowed banks to reduce GPFV exposures by 86.5 percent ($3.1 trillion) in the third quarter of 2016.

Table 5. Net Current Credit Exposure, in Billions of Dollars

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

ChangeGross Positive Fair Value $3,563 $4,079 -$516 -12.6%NCCE RC-R $482 $506 -$24 -4.7%Netting Benefit RC-R $3,082 $3,573 -$492 -13.8%Netting % RC-R 86.5% 87.6% -1.1% Source: Call report, Schedules RC-L and RC-R

NCCE peaked at $804.1 billion at the end of 2008, during the financial crisis, when interest rates had plunged and credit spreads were very high (see figure 2). The significant decline in NCCE since 2008 has largely resulted from declines in the GPFV of interest rate and credit contracts. GPFV from interest rate contracts has fallen from $5.1 trillion at the end of 2008 to $2.9 trillion at the end of the third quarter of 2016. On September 30, 2016, exposure from credit contracts of $91.1 billion was $1.0 trillion lower (91.7 percent) than the $1.1 trillion on December 31, 2008. New regulations and a decrease in client demand have led to the reduction in credit derivative notional amounts.

Figure 2. Net Current Credit Exposure, in Billions of Dollars

Source: Call report, Schedule RC-R

The bulk of NCCE in the financial system is concentrated in banks and securities firms (51.0 percent) and corporations and other counterparties (39.5 percent) (see table 6). Relative to the second quarter of 2016, the third quarter of 2016 saw an increase in the percentage of total credit exposure to banks and securities firms (from 49.0 percent to 51.0 percent), and a decrease

1 Banks report NCCE in two different schedules (RC-R and RC-L) of the call report, and the amounts reported are not the same because of differences in the scope of coverage. Neither measure comprehensively captures NCCE. RC-L includes exposure only from OTC derivative transactions; it excludes exchange-traded transactions. RC-R excludes transactions not subject to capital requirements. The recent change to reflect central counterparty exposures in RC-R, however, has led to a convergence in the two schedules. This report uses RC-R to measure NCCE.


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in the percentage of total credit exposure to corporations and other counterparties (from 42.3 percent to 39.5 percent).

The combined exposure to hedge funds, sovereign governments, and monoline financial firms was small (9.5 percent in total). The sheer size of aggregate counterparty exposures, however, results in the potential for major losses, even in sectors where credit exposure is a small percentage of the total. For example, notwithstanding the minimal share of NCCE to monolines, banks suffered material losses on these exposures during the credit crisis. Sovereign credit exposures were also a small component (7.4 percent) of NCCE during the quarter and, like monoline exposures before the financial crisis, are largely unsecured.

Table 6. Net Current Credit Exposure by Counterparty Type as a Percentage of Total Net Current Credit Exposure

Banks & Securities

Firms

Monoline Financial

Firms Hedge FundsSovereign

Governments

Corporations & All Other

Counterparties2016 Q3 51.0% 0.1% 2.0% 7.4% 39.5%2016 Q2 49.0% 0.1% 2.1% 6.5% 42.3%2016 Q1 49.7% 0.1% 2.2% 6.7% 41.4%2015 Q3 52.6% 0.1% 2.2% 6.0% 39.1%2014 Q3 54.0% 0.1% 2.3% 6.9% 36.7% Source: Call report, Schedule RC-L

A more risk-sensitive measure of credit exposure would consider the value of collateral held against counterparty exposures. Commercial banks and savings associations with total assets greater than $10 billion report the fair value of collateral held against various classifications of counterparty exposure.

Reporting banks held collateral against 95.1 percent of their total NCCE at the end of the third quarter of 2016, up from 86.2 percent in the second quarter of 2016 (see table 7). The increase in the ratio of collateral held against counterparty exposure was due primarily to stronger collateral coverage of exposures to banks and securities firms, which increased from 103.1 percent to 107.2 percent. Collateral held against hedge fund exposures increased in the third quarter, and coverage remains very high at 461.7 percent. Bank exposures to hedge funds have always been secured, because banks take “initial margin” on transactions with hedge funds, in addition to fully securing any current credit exposure. Collateral coverage of corporate, monoline, and sovereign exposures is much less than coverage of financial institutions and hedge funds, although coverage of corporate exposures has been increasing over the past several years because of increases in the volume of trades cleared at central counterparties.

Table 7. Fair Value Collateral to Net Current Credit Exposure

FV Banks & Securities

Firms

FV Monoline Financial

FirmsFV Hedge

FundsFV Sovereign Governments

FV Corporations & All Other

Counterparties FV/NCCE%2016 Q3 107.2% 0.7% 461.7% 26.4% 73.9% 95.1%2016 Q2 103.1% 4.6% 368.4% 26.7% 62.4% 86.2%2016 Q1 94.6% 0.0% 378.8% 20.1% 65.5% 83.7%2015 Q3 99.6% 0.0% 388.1% 15.3% 64.5% 87.0%2014 Q3 97.8% 6.2% 345.0% 12.7% 50.3% 80.0%Source: Call report, Schedule RC-L


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Collateral quality held by banks was very high and liquid during the quarter, with 76.1 percent held in cash (both U.S. dollar and non-dollar) and an additional 7.7 percent held in U.S. Treasuries and government agency securities (see table 8). Supervisors assess changes in the quality of collateral held as a key early indicator of potential easing in credit terms. Examiners review the collateral management practices of derivative dealers as a regular part of their supervision activities.

Table 8. Composition of Collateral

Cash U.S. Dollar

Cash Other Currencies

U.S. Treasury Securities

U.S. Gov't Agency

Corporate Bonds

Equity Securities

All Other Collateral

2016 Q3 42.8% 33.3% 5.7% 2.0% 1.4% 5.2% 9.6%2016 Q2 44.2% 33.3% 5.2% 2.2% 1.3% 4.9% 8.8%2016 Q1 45.7% 32.2% 4.9% 1.9% 1.2% 4.9% 9.0%2015 Q3 44.8% 30.6% 4.8% 1.7% 1.5% 5.1% 11.6%2014 Q3 45.0% 33.0% 2.3% 3.0% 0.8% 1.7% 14.2% Source: Call report, Schedule RC-L

Credit quality metrics for derivative exposures improved in the third quarter of 2016, as banks reported net charge-offs of $6.5 million, compared to net charge-offs of $18.6 million in the second quarter of 2016 (see graph 8 in the appendix). The number of banks reporting charge-offs decreased from 16 to 12 banks. Net charge-offs in the third quarter of 2016 represented 0.001 percent of the NCCE from derivative contracts. For comparison purposes, commercial and industrial (C&I) loan net charge-offs decreased $76.7 million, or 3.5 percent, to $2.1 billion during the quarter, and were 0.1 percent of total C&I loans. Charge-offs of derivative exposures typically are associated with problem commercial lending exposures, in which the borrower has an associated swap transaction.


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Market Risk

Value-at-Risk

Banks primarily control market risk in trading operations by establishing limits against potential losses. Banks use VaR to quantify the maximum expected loss over a specified time period and at a certain confidence level in normal markets. VaR is not the maximum potential loss. Since VaR does not measure the maximum potential loss, banks stress test trading portfolios to assess the potential for loss beyond the VaR measure. Banks and supervisors have been working to expand the use of stress testing to complement the VaR risk measurement process that banks typically use to assess a bank’s exposure to market risk.

The large trading banks disclose average VaR data in published financial reports. Comparing the VaR numbers over time to equity capital and net income provides perspective on market risk of trading activities. As shown in table 9, market risk reported by the five largest banking companies, as measured by VaR, is small as a percentage of their capital.

Table 9. Value-at-Risk at Major Bank Holding Companies, in Millions of Dollars

JPMorgan CitigroupBank of America

Goldman Sachs

Morgan Stanley Total

2016 Q3 VaR $43 $85 $47 $57 $42 $2742016 Q2 VaR $45 $88 $54 $62 $46 $295Q/Q Change -$2 -$3 -$7 -$5 -$4 -$21Q/Q % Change -4.4% -3.4% -13.0% -8.1% -8.7% -7.1%Equity Capital $254,331 $231,575 $270,083 $87,110 $77,149 $920,2482015 Net Income $61,568 $45,535 $41,107 $18,137 $17,941 $184,288Avg VaR/Equity 0.0% 0.0% 0.0% 0.1% 0.1% 0.0%Avg VaR/Net Income 0.1% 0.2% 0.1% 0.3% 0.3% 0.2%Source: 10K and 10Q U.S. Securities and Exchange Commission reports

VaR measures are not comparable across firms because of methodological differences in calculating VaR, as well as differences in the scope of coverage. These differences can result in materially different VaR estimates across firms, even for the same portfolios. When assessing trading risk in the banking system, it is therefore appropriate to review the trend in VaR at individual firms, not in aggregate across firms.

Because of methodological differences in calculating VaR, readers are cautioned that a higher VaR figure at a particular bank may not necessarily imply that the bank has more trading risk than another bank with a lower VaR. For example, JPMorgan, Goldman Sachs, and Morgan Stanley calculate VaR using a 95 percent confidence interval. If those firms used a 99 percent confidence interval, as Bank of America and Citigroup do, their VaR estimates would be meaningfully higher. The data series used to measure risk also is an important factor in the calculated risk. VaR for a single portfolio of exposures will differ if the historical period used to measure risk differs. The scope of coverage of the VaR measure is also important when reviewing risks across institutions. Some firms disclose VaR based only on their trading and intermediation activity, while others also include risks from hedging mortgage-servicing assets, fair value option portfolios, and asset and liability management activities. Graph 16 in the appendix illustrates the trend over the past seven years in average VaR at each of the top five large banking companies.


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Figure 3 shows the VIX, a volatility index,2 which measures the market’s expectation of stock market volatility of S&P 500 index options over the next 30-day period. The chart illustrates that there has been an extended period of low volatility since the end of the financial crisis.

Figure 3. Volatility Index (VIX)

Source: Bloomberg

Level 3 Trading Assets

Another measure used to assess market risk is the volume of and changes in level 3 trading assets. Level 3 trading assets are assets whose fair value cannot be determined by using observable inputs, such as market prices. Since the peak of the financial crisis at the end of 2008, major dealers have reduced the volume of level 3 trading assets. Because banks cannot observe inputs into the models that determine the fair value of these illiquid exposures, banks use their own assumptions in determining their fair values. Level 3 assets peaked at $204.1 billion at the end of 2008 (see figure 4). At the end of the third quarter of 2016, banks held $40.0 billion of level 3 trading assets, down 7.8 percent from the previous quarter, and 8.9 percent lower than a year ago. Level 3 assets are $164.1 billion (80.4 percent) lower than the peak level from 2008.

Figure 4. Level 3 Trading Assets, in Billions of Dollars

Source: Call reports, Schedule RC-Q

2 VIX is the trademarked ticker symbol for the Chicago Board Options Exchange SPX Volatility Index.


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Credit Derivatives

The notional amounts outstanding of credit derivatives decreased $0.3 trillion (4.2 percent) in the third quarter of 2016 to $6.6 trillion. Contracts referencing sub-investment-grade firms increased $19.1 billion, while contracts referencing investment-grade firms decreased $310.0 billion. Credit derivatives outstanding remained well below the peak of $16.4 trillion in the first quarter of 2008 (see graphs 1 and 14 in the appendix). As shown in figure 5, credit default swaps are the dominant product, at $6.2 trillion (94.3 percent) of all credit derivative notional amounts (see also tables 11 and 12 in the appendix).

Contracts referencing investment-grade entities with maturities from one to five years, which decreased by $335.8 billion (10.8 percent) in the quarter, represented the largest segment of the market at 42.1 percent of all credit derivative notional amounts. Contracts of all tenors that reference investment-grade entities are 70.1 percent of the market (see chart on right in figure 5 and graph 14 in the appendix).

Figure 5. 2016 Q3 Credit Derivative Composition, in Billions of Dollars

By Product Type By Maturity and Quality of Underlying Reference Entity

Source: Call reports, Schedule RC-L

The notional amount for the 59 insured U.S. commercial banks and savings associations that sold credit protection (i.e., assumed credit risk) was $3.2 trillion, down $134.6 billion (4.0 percent) from the second quarter of 2016. The notional amount for the 50 banks that purchased credit protection (i.e., hedged credit risk) was $3.3 trillion, $156.4 billion lower (4.5 percent) than in the second quarter of 2016 (see table 12 in the appendix).

Notional Amounts

Changes in notional amounts are generally reasonable reflections of business activity and can provide insight into potential revenue and operational issues. The notional amount of derivative contracts, however, does not provide a useful measure of market or credit risks.

The notional amount of derivative contracts held by insured U.S. commercial banks and savings associations in the third quarter decreased by $12.4 trillion (6.5 percent) to $177.5 trillion from the previous quarter (see table 10). The decrease was driven by a $10.8 trillion decrease in

Credit Default Swaps: $6,187

Credit Options:$175

Other CreditDerivatives: $57

Total Return Swaps: $143


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interest rate notional amounts. An $8.9 trillion decrease in swaps contracts (7.9 percent) to $103.0 trillion drove the decrease in interest rate notional amounts (see table 11). Swap contracts remained the dominant derivatives product at 58.0 percent of all notional amounts.

Table 10. Derivative Notional Amounts by Underlying Risk Exposure Quarter-Over-Quarter, in Billions of Dollars

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

Change 2015 Q3Y/Y

ChangeY/Y %

ChangeInterest Rate $132,993 $143,795 -$10,802 -7.5% $148,665 -$15,672 -10.5%Foreign Exchange $33,858 $35,185 -$1,327 -3.8% $32,175 $1,683 5.2%Equity $2,735 $2,672 $62 2.3% $2,509 $226 9.0%Commodities $1,312 $1,328 -$16 -1.2% $1,390 -$77 -5.6%Credit $6,562 $6,853 -$291 -4.2% $8,198 -$1,635 -19.9%Total Notional $177,461 $189,834 -$12,373 -6.5% $192,937 -$15,476 -8.0%Source: Call reports, Schedule RC-L

Table 11. Derivative Notional Amounts by Contract Type Quarter-Over-Quarter, in Billions of Dollars

2016 Q3 2016 Q2Q/Q

ChangeQ/Q %

Change 2015 Q3Y/Y

ChangeY/Y %

ChangeFutures & Forwards $36,958 $38,790 -$1,832 -4.7% $38,988 -$2,030 -5.2%Swaps $103,014 $111,901 -$8,887 -7.9% $112,697 -$9,683 -8.6%Options $30,926 $32,289 -$1,363 -4.2% $33,054 -$2,128 -6.4%Credit Derivatives $6,562 $6,853 -$291 -4.2% $8,198 -$1,635 -19.9%Total Notional $177,461 $189,834 -$12,373 -6.5% $192,937 -$15,476 -8.0%Source: Call reports, Schedule RC-L

The four banks with the most derivative activity hold 89.7 percent of all derivatives, while the largest 25 banks account for nearly 100 percent of all contracts (see tables 3 and 5 and graph 4 in the appendix).

Interest rate contracts continued to represent the majority of the derivative market at $133.0 trillion or 74.9 percent of total derivatives during the third quarter of 2016 (see table 10). FX and credit derivatives were 19.1 percent and 3.7 percent of total notional amounts, respectively. Commodity and equity derivatives collectively were only 2.3 percent of total notional derivatives.

Notional amounts have generally declined since 2011 due to trade compression efforts, which has led to less need for risk management products. Trade compression continues to be a significant factor in reducing the amount of notional derivatives outstanding. Trade compression aggregates a large number of swap contracts with similar factors, such as risk or cash flows, into fewer trades. Compression removes economic redundancy in a derivative book and reduces operational risks and capital costs for large banks. Trade compression activities increased in the third quarter of 2016, as shown in figure 6.


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Figure 6. Quarterly Compression Activity, in Trillions of Dollars

Source: LCH.Clearnet

In the first quarter of 2015, banks began reporting their volumes of cleared and non-cleared derivative transactions, as well as risk weights for counterparties in each of these categories. In the third quarter of 2016, 39.0 percent of the derivative market was centrally cleared (see table 12). From a market factor perspective, 49.2 percent of interest rate derivative contracts notional amounts outstanding were centrally cleared, while very little of the FX derivative market was centrally cleared. The credit derivative market remained largely uncleared, as 22.8 percent of investment grade and 17.2 percent of non-investment-grade transactions were centrally cleared.

Centrally cleared derivative transactions were heavily concentrated at qualified central counterparties, with 92.1 percent of notional amounts reflecting the 2 percent risk weight applicable to such counterparties.

Table 12. Centrally Cleared Derivative Contracts as a Percentage of Total Derivative Contracts

Interest Rate

Foreign Exchange Equity

Precious Metals Credit Other Total

2016 Q3 49.2% 0.7% 24.3% 6.4% 21.2% 14.9% 39.0%2016 Q2 49.1% 0.5% 22.1% 5.5% 18.3% 13.7% 39.1%2016 Q1 45.4% 0.5% 21.4% 4.4% 19.4% 13.6% 36.5%2015 Q4 46.2% 0.5% 20.0% 3.7% 16.8% 14.0% 36.9%2015 Q3 44.7% 0.5% 14.5% 5.0% 20.4% 12.5% 36.0%2015 Q2 43.1% 0.3% 13.6% 2.6% 19.6% 10.7% 35.0%2015 Q1 44.7% 0.2% 13.6% 1.6% 19.7% 16.0% 36.5%

Source: Call reports, Schedule RC-R


- 16 -

Glossary of Terms

Bilateral netting: A legally enforceable arrangement between a bank and a counterparty that creates a single legal obligation covering all included individual contracts. This arrangement means that a bank’s receivables or payables, in the event of the default or insolvency of one of the parties, would be the net sum of all positive and negative fair values of contracts included in the bilateral netting arrangement.

Centrally cleared derivative contract: A standardized derivative contract that is transacted bilaterally but submitted for clearing to a central counterparty, with the central counterparty becoming the ultimate counterparty to both the buyer and the seller.

Credit derivative: A financial contract that allows a party to take, or reduce, credit exposure (generally on a bond, loan, or index). The OCC’s derivatives survey includes OTC credit derivatives, such as credit default swaps, total return swaps, and credit spread options.

Derivative: A financial contract in which the value is derived from the performance of underlying market factors, such as interest rates, currency exchange rates, and commodity, credit, and equity prices. Derivative transactions include a wide assortment of financial contracts, such as structured debt obligations and deposits, swaps, futures, options, caps, floors, collars, forwards, and various combinations thereof.

Gross negative fair value (GNFV): The sum total of the fair values of contracts when the bank owes money to its counterparties, without taking into account netting. This amount represents the maximum losses the bank’s counterparties would incur if the bank defaulted and there was no netting of contracts, and the counterparties held no bank collateral. GNFVs associated with credit derivatives are included.

Gross positive fair value (GPFV): The sum total of the fair values of contracts when the bank is owed money by its counterparties, without taking into account netting. This amount represents the maximum losses a bank would incur if all its counterparties defaulted and there was no netting of contracts, and the bank held no counterparty collateral. GPFVs associated with credit derivatives are included.

Net current credit exposure (NCCE): For a portfolio of derivative contracts, NCCE is the GPFV of contracts less the dollar amount of netting benefits. On any individual contract, current credit exposure (CCE) is the fair value of the contract if positive, and zero when the fair value is negative or zero. NCCE is also the net amount owed to banks if all contracts were immediately liquidated.

Notional amount: The nominal or face amount that is used to calculate payments made on swaps and other risk management products. This amount generally does not change hands and is thus referred to as notional.

OTC derivative contracts: Privately negotiated derivative contracts that are transacted off organized exchanges.

Potential future exposure: An estimate of what the CCE could be over time, based on a supervisory formula in the agencies’ risk-based capital rules. PFE is generally determined by multiplying the notional amount of the contract by a credit conversion factor that is based on the underlying market factor (e.g., interest rates, commodity prices, or equity prices) and the contract’s remaining maturity. The risk-based capital rules, however, permit banks to adjust the


- 17 -

formulaic PFE measure by the net-to-gross ratio, which proxies the risk-reduction benefits attributable to a valid bilateral netting contract. PFE data in this report uses the amounts on which banks hold risk-based capital.

Total credit exposure (TCE): The sum total of NCCE and PFE.

Total risk-based capital: The sum of tier 1 plus tier 2 capital. Tier 1 capital generally consists of common shareholders’ equity, perpetual preferred shareholders’ equity with noncumulative dividends, retained earnings, and tier 1 capital of consolidated subsidiaries that is not owned by the bank (minority interest) less regulatory adjustments and deductions. Tier 2 capital generally consists of subordinated debt, intermediate-term preferred stock, cumulative and long-term preferred stock, tier 2 capital of consolidated subsidiaries that is not owned by the bank (minority interest), and a portion of a bank’s allowance for loan and lease losses less regulatory adjustments and deductions.

Trade compression: A significant factor in reducing the amount of notional derivatives outstanding. Trade compression aggregates a large number of swap contracts with similar factors, such as risk or cash flows, into fewer trades. Compression removes economic redundancy in a derivative book and reduces operational risks and capital costs for large banks.

Volatility index (VIX): Measures the market’s expectation of stock market volatility of S&P 500 index options over the next 30-day period.


- 18 -

Index of Tables and Figures

Table 1. Quarterly Bank Trading Revenue, in Millions of Dollars ................................................ 4

Table 2. Quarterly Holding Company Trading Revenue, in Millions of Dollars ........................... 4

Figure 1. Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue........................................................................................................................................... 5

Table 3. Gross Positive Fair Values and Gross Negative Fair Values, in Billions of Dollars ........ 7

Table 4. Netting Contract Examples ............................................................................................... 7

Table 5. Net Current Credit Exposure, in Billions of Dollars ........................................................ 8

Figure 2. Net Current Credit Exposure, in Billions of Dollars ....................................................... 8

Table 6. Net Current Credit Exposure by Counterparty Type as a Percentage of Total Net Current Credit Exposure .............................................................................................................................. 9

Table 7. Fair Value Collateral to Net Current Credit Exposure ..................................................... 9

Table 8. Composition of Collateral ............................................................................................... 10

Table 9. Value-at-Risk at Major Bank Holding Companies, in Millions of Dollars .................... 11

Figure 3. Volatility Index (VIX) ................................................................................................... 12

Figure 4. Level 3 Trading Assets, in Billions of Dollars .............................................................. 12

Figure 5. 2016 Q3 Credit Derivative Composition, in Billions of Dollars ................................... 13

Table 10. Derivative Notional Amounts by Underlying Risk Exposure Quarter-Over-Quarter, in Billions of Dollars ......................................................................................................................... 14

Table 11. Derivative Notional Amounts by Contract Type Quarter-Over-Quarter, in Billions of Dollars ........................................................................................................................................... 14

Figure 6. Quarterly Compression Activity, in Trillions of Dollars ............................................... 15

Table 12. Centrally Cleared Derivative Contracts as a Percentage of Total Derivative Contracts....................................................................................................................................................... 15


- 19 -

Appendix: Supplementary Graphs and Tables

Graph 1. Derivative Notional Amounts by Type

Graph 2. Derivative Contracts by Product

Graph 3. Derivative Contracts by Type

Graph 4. Four Banks Dominate in Derivatives

Graph 5. Credit Exposure to Risk-Based Capital (in Percentage)

Graph 6. Netting Benefit: Amount of Gross Credit Exposure Eliminated Through Bilateral Netting

Graph 7. Quarterly Charge-Offs/(Recoveries) From Derivatives

Graph 8. Quarterly Charge-Offs

Graph 9. Quarterly Trading Revenue (Cash and Derivative Positions)

Graph 10. Quarterly Trading Revenue (Cash and Derivative Positions) as a Percentage of Gross Revenue (in Percentage)

Graph 11. Notional Amounts of Interest Rate and Foreign Exchange + Gold Contracts by Maturity

Graph 12. Notional Amounts of Precious Metal Contracts by Maturity

Graph 13. Notional Amounts of Commodity and Equity Contracts by Maturity

Graph 14. Notional Amounts of Credit Derivative Contracts by Credit Quality and Maturity

Graph 15. Notional Amounts of Over-the-Counter and Centrally Cleared Derivative Contracts

Graph 16. Value-at-Risk (VaR)

Table 1. Notional Amounts of Derivative Contracts

Table 2. Notional Amounts of Derivative Contracts (Holding Companies)

Table 3. Distribution of Derivative Contracts

Table 4. Credit Equivalent Exposures

Table 5. Notional Amounts of Derivative Contracts Held for Trading

Table 6. Gross Fair Values of Derivative Contracts

Table 7. Trading Revenue From Cash Instruments and Derivatives

Table 8. Notional Amounts of Derivative Contracts by Contract Type and Maturity (interest rate, FX, gold)

Table 9. Notional Amounts of Derivative Contracts by Contract Type and Maturity (precious metals)

Table 10. Notional Amounts of Derivative Contracts by Contract Type and Maturity (other, equity)

Table 11. Notional Amounts of Credit Derivative Contracts by Contract Type and Maturity

Table 12. Distribution of Credit Derivative Contracts Held for Trading

Note: Numbers may not total due to rounding. Total derivative notionals are now reported including credit derivatives, for which regulatory reporting does not differentiate between trading and non-trading.Source: Call reports

2001 2003 2005 2007 2009 2011 2013 2015 2017

$0

$50,000

$100,000

$150,000

$200,000

$250,000

in billions

2008 Q1Credit Derivative Peak: $16,441

Graph 1Derivative Notional Amounts by TypeInsured U.S. Commercial Banks and Savings Associations

Total Notional Dealer (Trading) End User (Non-Trading) Credit Derivatives

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

Total Notional

Dealer (Trading)

End User (Non-Trading)

Credit Derivatives 11,191

4,812

219,990

$235,992

12,793

4,610

221,425

$238,827

13,327

4,776

214,240

$232,342

13,901

4,733

211,353

$229,987

9,449

3,918

207,711

$221,078

10,408

3,732

225,318

$239,459

10,827

3,903

222,078

$236,808

11,165

4,008

213,838

$229,011

6,986

2,794

171,173

$180,953

8,198

2,963

181,777

$192,937

8,488

3,349

186,686

$198,523

9,017

3,632

191,123

$203,771

6,562

3,025

167,873

$177,461

6,853

3,010

179,971

$189,834

7,418

3,092

182,438

$192,948

In billions of dollars

*Notional amount of total: futures, exchange-traded options, over the counter options, forwards and swaps.Note: Numbers may not add due to roundingSource: Call reports

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1 Q2 Q3

$0

$50,000

$100,000

$150,000

$200,000

$250,000

in billions

Graph 2Derivative Contracts by Product*Insured U.S. Commercial Banks and Savings Associations

Futures & Forwards Total Options Total Swaps Credit Derivatives

2003

Q4

2004

Q4

2005

Q4

2006

Q4

2007

Q4

2008

Q4

2009

Q4

2010

Q4

2011

Q4

2012

Q4

2013

Q4

2014

Q4

2015

Q4

2016

Q1 Q2 Q3

Futures & Forwards

Total Options

Total Swaps

Credit Derivatives

Total Notional 70,112

0

44,090

14,616

$11,406

85,536

0

56,411

17,754

$11,370

95,627

0

64,712

18,858

$12,057

131,519

9,020

81,340

26,277

$14,882

165,559

15,863

103,102

27,727

$18,867

211,416

16,029

143,111

29,747

$22,529

214,786

14,112

139,138

31,884

$29,652

231,099

14,151

149,331

32,078

$35,539

230,998

14,759

146,266

32,505

$37,469

221,794

13,190

136,608

30,375

$41,621

235,992

11,191

152,469

32,305

$40,027

221,078

9,449

135,169

33,081

$43,380

180,953

6,986

107,392

30,889

$35,685

177,461

6,562

103,014

30,926

$36,958

189,834

6,853

111,901

32,289

$38,790

192,948

7,418

114,814

33,564

$37,151


Note: As of 2006 Q2 equities and commodities types are shown as separate categories. They were previously shown as “Other Derivs.”Numbers may not total due to rounding.Source: Call Reports

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1 Q2 Q3

$0

$50,000

$100,000

$150,000

$200,000

$250,000

in billions

Graph 3Derivative Contracts by Type*Insured U.S. Commercial Banks and Savings Associations

2003

Q4

2004

Q4

2005

Q4

2006

Q4

2007

Q4

2008

Q4

2009

Q4

2010

Q4

2011

Q4

2012

Q4

2013

Q4

2014

Q4

2015

Q4

2016

Q1 Q2 Q3

Interest Rate

Foreign Exchange

Equities

Commodities

Credit Derivatives


0

223

829

7,185

$61,876

85,536

0

284

1,112

8,607

$75,533

95,627

0

552

1,255

9,289

$84,530

131,519

9,020

893

2,271

11,900

$107,435

165,559

15,863

1,067

2,524

16,614

$129,491

211,416

16,029

1,061

2,207

16,224

$175,895

214,786

14,112

979

1,685

16,555

$181,454

231,099

14,151

1,195

1,364

20,990

$193,399

230,998

14,759

1,330

1,606

25,436

$187,866

221,794

13,190

1,397

1,970

27,587

$177,650

235,992

11,191

1,209

2,028

28,480

$193,084

221,078

9,449

1,222

2,537

33,183

$174,687

180,953

6,986

1,108

2,395

32,100

$138,363

177,461

6,562

1,312

2,735

33,858

$132,993

189,834

6,853

1,328

2,672

35,185

$143,795

192,948

7,418

1,210

2,534

34,568

$147,218


Interest Rate Foreign Exchange Equities Commodities Credit Derivatives

*Notional amount of total: futures, exchange-traded options, over-the-counter options, forwards, and swaps.Source: Call reports

0 10,000 20,000 30,000 40,000 50,000 60,000 70,000 80,000 90,000 100,000 110,000 120,000 130,000 140,000 150,000 160,000 170,000 180,000in billions of dollars

Futures &Forwards

Total Swaps

Total Options

CreditDerivatives

Total Notional

Graph 4Four Banks Dominate in Derivatives*Insured U.S. Commercial Banks and Savings Associations

Top 4 All Other Banks Grand Total

Futures & Forwards

Total Swaps

Total Options

Credit Derivatives


6,562

30,926

103,014

$36,958

18,217

220

2,187

10,191

$5,620

159,243

6,343

28,739

92,823

$31,338


All Other Banks

Top 4

Note: The methodology to calculate the credit risk exposure to capital ratio for the Top 4 category uses a weighted average of total current credit exposure.Source: Call reports

Graph 5Credit Exposure to Risk-Based Capital (in Percentage)Top 4 Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings

JPMorgan Chase Bank NA

2010 2011 2012 2013 2014 2015 2016

Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2

0

100

200

Bank of America NA

2010 2011 2012 2013 2014 2015 2016

Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2

0

50

100

150

Citibank NA

2010 2011 2012 2013 2014 2015 2016

Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2

0

50

100

150

200

Goldman Sachs

2010 2011 2012 2013 2014 2015 2016

Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2

0

200

400

600

800

2010

Q1 Q2 Q3 Q4

2011

Q1 Q2 Q3 Q4

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3


Bank of America NA

Citibank NA

Goldman Sachs 628

182

174

265

638

197

177

267

685

171

166

257

666

180

164

266

794

177

176

256

801

195

187

285

788

203

182

274

781

185

182

275

705

170

132

229

727

170

139

247

738

171

141

246

751

172

149

250

741

148

117

183

719

161

121

205

693

164

125

216

703

165

129

219

516

173

93

177

539

190

107

181

620

156

107

189

689

147

109

183

516

166

85

209

530

181

91

219

563

184

95

228

547

187

100

229

433

188

68

216

467

181

77

221

482

180

81

225

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

278282287285 297313310304 271281282284 262262258261 211224240248 223232242238 217222226TOTAL

2009 Q2 2009 Q4 2010 Q2 2010 Q4 2011 Q2 2011 Q4 2012 Q2 2012 Q4 2013 Q2 2013 Q4 2014 Q2 2014 Q4 2015 Q2 2015 Q4 2016 Q2 2016 Q4

86.5

87.0

87.5

88.0

88.5

89.0

89.5

90.0

90.5

91.0

Netting Benefit in percentage

Graph 6Netting Benefit*: Amount of Gross Credit Exposure Eliminated Through Bilateral NettingInsured U.S. Commercial Banks and Savings Associations by Derivative Holdings

2009

Q2 Q3 Q4

2010

Q1 Q2 Q3 Q4

2011

Q1 Q2 Q3 Q4

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

88.588.888.0 89.190.390.088.9 90.490.288.688.2 90.290.390.389.9 89.389.789.189.8 88.888.688.988.7 86.786.886.887.6 86.587.687.7

Netting Benefit (in percentage)

*The netting benefit is defined as: $ amount of netting benefits/gross positive fair value.Source: Call reports, beginning the first quarter of 2015 RC-R; otherwise RC-L

Note: The figures are for each quarter alone, not year-to-date.NCCE: Pre 2009 Q2 (RC-R); 2009 Q2 - 2014 Q4 (RC-L); 2015 Q1 onward (RC-R)Source: Call reports

2001 2003 2005 2007 2009 2011 2013 2015 2017

$0

$500

$1,000

$1,500

in millions

0.000

0.001

0.002

0.003

0.004

0.005

Charge-Offs as % NCCE

Graph 7Quarterly Charge-Offs/(Recoveries) From DerivativesInsured U.S. Commercial Banks and Savings Associations with Derivatives

2000

Q1 Q2 Q3 Q4

2001

Q1 Q2 Q3 Q4

2002

Q1 Q2 Q3 Q4

2003

Q1 Q2 Q3 Q4

Charge-Offs (Banks) -3.0-1.0-1.00.0 370.0107.3-1.02.0 73.759.028.275.8 83.732.329.925.3

In millions of dollars

2004

Q1 Q2 Q3 Q4

2005

Q1 Q2 Q3 Q4

2006

Q1 Q2 Q3 Q4

2007

Q1 Q2 Q3 Q4

Charge-Offs (Banks) 5.492.234.946.7 8.323.014.21.3 -5.8-16.0-7.03.6 30.7119.59.1-3.1

2008

Q1 Q2 Q3 Q4

2009

Q1 Q2 Q3 Q4

2010

Q1 Q2 Q3 Q4

2011

Q1 Q2 Q3 Q4

Charge-Offs (Banks) 8479212015 162221168217 83313173100 6991721,601

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

Charge-Offs (Banks) 73.4426.1254.3476.35 83.4535.7760.7284.28 7.9114.5355.9012.78 6.4010.44-7.9369.31

2016

Q1 Q2 Q3

Charge-Offs (Banks) 6.4818.5613.30

Charge-Offs (Banks)

Charge-Offs as % NCCE

Note: The figures are for each quarter alone, not year-to-date.Source: Call reports and Y-9

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

$0

$1,000

$2,000

$3,000

in millions

Graph 8Quarterly Charge-OffsInsured U.S. Commercial Banks and Savings Associations with Derivatives Compared with Holding Companies

2000

Q1 Q2 Q3 Q4

2001

Q1 Q2 Q3 Q4

2002

Q1 Q2 Q3 Q4

2003

Q1 Q2 Q3 Q4

Charge-Offs (Banks)

Charge-Offs (Holding Companies) -7.0

-3.0

19.3

-1.0

-1.0

-1.0

0.1

0.0

369.6

370.0

107.3

107.3

-1.0

-1.0

2.0

2.0

73.7

73.7

66.0

59.0

21.2

28.2

75.8

75.8

127.8

83.7

31.4

32.3

32.9

29.9

25.3

25.3


2004

Q1 Q2 Q3 Q4

2005

Q1 Q2 Q3 Q4

2006

Q1 Q2 Q3 Q4

2007

Q1 Q2 Q3 Q4

Charge-Offs (Banks)

Charge-Offs (Holding Companies) 9.0

5.4

94.2

92.2

40.4

34.9

51.2

46.7

18.1

8.3

45.1

23.0

3.6

14.2

54.9

1.3

-7.2

-5.8

-28.1

-16.0

5.4

-7.0

35.4

3.6

32.2

30.7

119.4

119.5

10.4

9.1

-3.1

-3.1

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

Charge-Offs (Banks)

Charge-Offs (Holding Companies) 133.4

73.4

34.9

26.1

64.0

54.3

84.6

76.3

83.4

83.5

42.9

35.8

62.6

60.7

87.2

84.3

9.1

7.9

17.2

14.5

55.6

55.9

13.6

12.8

24.5

6.4

12.9

10.4

-10.2

-7.9

69.0

69.3

7.5

6.5

18.0

18.6

12.8

13.3

2008

Q1 Q2 Q3 Q4

2009

Q1 Q2 Q3 Q4

2010

Q1 Q2 Q3 Q4

2011

Q1 Q2 Q3 Q4

Charge-Offs (Banks)

Charge-Offs (Holding Companies) 1,192

847

93

92

120

120

15

15

164

162

266

221

477

168

1,570

217

3,598

83

181

313

288

173

122

100

73

69

92

91

68

72

1,617

1,601

Charge-Offs (Banks)

Charge-Offs (Holding Companies)

*The trading revenue figures are for cash and derivative activities. Revenue figures are for each quarter alone, not year-to-date.Note: Numbers may not total due to rounding.Source: Call reports

2011

Q1 Q2 Q3 Q4

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

Interest Rate

Foreign Exchange

Equity

Commodity & Other

Credit

Total Trading Revenue 2,539

-102

259

-111

2,235

257

8,451

1,764

558

1,442

2,595

2,093

6,624

1,406

307

808

491

3,611

7,671

1,699

319

762

35

4,855

4,778

-713

30

187

753

4,521

5,093

-1,242

350

508

1,020

4,457

2,147

-4,243

390

1,140

1,990

2,870

6,359

-1,444

412

260

1,505

5,627

2,911

245

265

491

1,550

360

4,527

222

481

233

588

3,002

7,125

339

292

924

3,303

2,268

7,520

890

364

838

3,185

2,243

4,471

-79

335

650

2,902

664

5,612

535

411

654

4,830

-819

6,428

500

293

726

2,026

2,883

6,192

756

672

612

2,137

2,015

4,274

-222

198

742

3,401

155

5,316

357

402

49

1,931

2,578

5,507

530

129

587

855

3,406

7,669

624

587

797

4,703

958

6,423

86

353

729

2,294

2,960

7,030

257

161

972

3,736

1,904

5,608

185

271

674

1,407

3,070


2011 Q1 2011 Q3 2012 Q1 2012 Q3 2013 Q1 2013 Q3 2014 Q1 2014 Q3 2015 Q1 2015 Q3 2016 Q1 2016 Q3

-4,000

-2,000

0

2,000

4,000

6,000

8,000

in $ millions

Graph 9Quarterly Trading Revenue (Cash and Derivative Positions)*Insured U.S. Commercial Banks and Savings Associations

Interest Rate

Foreign Exchange

Equity

Commodity & Other

Credit

Total Trading Revenue

3Q2016AveragePast 12Q3's

Past 8QuarterAverage

Past 8QuarterHigh

Past 8QuarterLow

Since2000

Average

MaxSince2000

MinSince2000

Interest Rate

Foreign Exchange

Equity

Commodity & Other

Credit

Total Trading Revenue 4,274

-222

129

49

855

-819

10,217

2,727

789

1,830

4,830

9,291

4,042

-208

224

551

1,807

1,669

-10,580

-10,237

-307

-1,059

-1,069

-5,282

7,669

624

587

972

4,830

3,406

5,768

253

316

650

2,895

1,653

5,469

300

412

416

2,411

1,930

6,423

86

353

729

2,294

2,960


*The trading revenue figures are for cash and derivative activities. Revenue figures are quarterly, not year-to-date numbers.Note: Gross revenue equals interest income plus non-interest income.Source: Call reports


2011 2012 2013 2014 2015 2016

Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3

0

5

10

15

Trading Revenue to Gross Revenue

Graph 10Quarterly Trading Revenue (Cash and Derivative Positions) as a Percentage of Gross Revenue (in Percentage)Top 4 Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings

Bank of America NA

2011 2012 2013 2014 2015 2016


-5

0

5

10

Trading Revenue to Gross Revenue

Citibank NA

2011 2012 2013 2014 2015 2016


0

5

10

15

Trading Revenue to Gross Reven..

Goldman Sachs

2011 2012 2013 2014 2015 2016


0

20

40

60

Trading Revenue to Gross Reven..

2011

Q1 Q2 Q3 Q4

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

JPMorgan Chase Bank NABank of America NACitibank NAGoldman Sachs 30.93

1.180.074.33

56.5714.799.4814.82

57.6111.115.6010.84

54.269.446.3415.64

17.683.941.3510.50

33.265.741.2813.79

12.485.364.16-1.48

65.2710.950.6710.24

24.457.20-1.581.24

11.546.392.1410.67

37.3011.71-5.9718.73

32.657.453.3918.65

13.064.783.686.97

13.745.485.1113.47

22.217.439.1113.31

23.678.517.8012.63

6.166.301.727.03

13.326.545.1912.65

17.328.410.4913.25

15.859.176.7817.73

12.436.474.1814.06

6.669.416.8713.55

20.007.193.9012.26

Trading Revenue to Gross Revenue (in percentage)*

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

2.3614.1610.3211.67 5.727.862.788.70 2.776.729.5610.42 5.358.5310.4510.06 5.038.417.6211.68 8.5610.158.37TOTAL

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1 Q2 Q3

$0

$50,000

$100,000

$150,000

in billions

Graph 11Notional Amounts of Interest Rate and Foreign Exchange + Gold Contracts by MaturityInsured U.S. Commercial Banks and Savings Associations

Interest Rate

IR: < 1 yr IR: 1-5 yr IR: > 5 yrs

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


$0

$10,000

$20,000

$30,000

in billions

FX & Gold

FX&GOLD: < 1 yr FX&GOLD: 1-5 yr FX&GOLD: > 5 yrs

2000

Q4

2001

Q4

2002

Q4

2003

Q4

2004

Q4

2005

Q4

2006

Q4

2007

Q4

2008

Q4

2009

Q4

2010

Q4

2011

Q4

2012

Q4

2013

Q4

2014

Q4

2015

Q4

2016

Q1 Q2 Q3

IR: < 1 yr

IR: 1-5 yr

IR: > 5 yrs

FX&GOLD: < 1 yr

FX&GOLD: 1-5 yr

FX&GOLD: > 5 yrs 361

626

4,397

5,843

9,925

$9,708

499

686

3,816

7,451

11,709

$10,379

439

857

4,078

9,735

14,328

$12,982

582

1,146

4,510

13,117

20,404

$13,581

762

1,317

5,384

16,492

25,893

$15,921

689

1,381

5,728

19,825

27,683

$18,483

594

1,452

7,730

23,273

31,386

$29,552

622

1,639

11,660

27,724

37,222

$39,085

1,082

2,195

10,640

36,868

47,456

$58,618

1,347

2,473

10,490

26,374

33,970

$81,236

1,290

2,462

14,629

24,307

33,497

$90,843

1,503

3,117

17,632

24,168

32,750

$87,812

1,480

2,910

18,386

21,175

30,191

$82,948

1,029

2,341

18,372

24,630

44,157

$77,758

969

2,587

22,145

22,214

33,727

$71,808

1,648

3,986

24,130

32,981

49,407

$55,047

1,901

4,096

25,798

32,522

45,383

$58,875

2,150

4,112

26,623

33,931

47,002

$66,424

1,819

4,082

26,232

34,846

50,715

$65,651


Note: Figures above exclude FX contracts with an original maturity of 14 days or less, written options, basis swaps, and any other contracts not subject to risk-based capital requirements.Effective Q1 2015, the reporting form and call report instructions changed. Schedule RC-R now requires banks to report gold and FX notionals in aggregate, rather than separately.Source: Call reports

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


$0

$5

$10

$15

$20

$25

$30

$35

$40

$45

in billions

Graph 12Notional Amounts of Precious Metal Contracts by MaturityInsured U.S. Commercial Banks and Savings Associations

Precious Metals

2000

Q4

2001

Q4

2002

Q4

2003

Q4

2004

Q4

2005

Q4

2006

Q4

2007

Q4

2008

Q4

2009

Q4

2010

Q4

2011

Q4

2012

Q4

2013

Q4

2014

Q4

2015

Q4

2016

Q1 Q2 Q3

Precious Metals: < 1 yr

Precious Metals: 1-5 yr

Precious Metals: > 5 yrs 0.16

0.25

2.51

0.00

0.23

2.44

0.00

0.46

2.72

0.00

0.33

3.87

0.00

0.51

4.04

0.06

1.29

8.59

0.33

1.75

10.35

0.01

2.10

10.72

0.00

1.51

7.55

0.00

1.24

11.55

0.03

1.89

17.47

0.10

4.74

21.12

0.03

5.82

27.68

0.00

3.80

21.41

0.29

2.84

19.29

0.07

3.92

23.51

0.00

3.19

40.59

0.02

3.68

28.19

0.01

3.53

24.88


Precious Metals: < 1 yr Precious Metals: 1-5 yr Precious Metals: > 5 yrs

Note: Figures exclude FX contracts with an original maturity of 14 days or less, written options, basis swaps, and any other contracts not subject to risk-based capital requirements.Source: Call reports

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


$0

$500

$1,000

in billions

Graph 13Notional Amounts of Commodity and Equity Contracts by MaturityInsured U.S. Commercial Banks and Savings Associations

Commodity

Commodity: < 1 yr Commodity: 1-5 yr Commodity: > 5yrs

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016


$0

$1,000

$2,000

$3,000

in billions

Equity

2000

Q4

2001

Q4

2002

Q4

2003

Q4

2004

Q4

2005

Q4

2006

Q4

2007

Q4

2008

Q4

2009

Q4

2010

Q4

2011

Q4

2012

Q4

2013

Q4

2014

Q4

2015

Q4

2016

Q1 Q2 Q3

Commodity: < 1 yr

Commodity: 1-5 yr

Commodity: > 5yrs

Equity: < 1 yr

Equity: 1-5 yr

Equity: > 5 yrs 38

180

162

11

27

$36

18

209

121

2

25

$31

25

249

127

9

35

$55

84

674

197

14

103

$43

140

736

273

40

205

$64

383

1,428

321

175

707

$133

45

221

341

20

235

$185

70

297

473

25

297

$206

72

256

409

43

233

$179

82

228

312

33

198

$176

85

191

296

25

209

$203

94

210

427

46

209

$261

82

262

627

28

208

$261

136

291

645

6

144

$235

101

352

996

20

164

$257

130

628

1,743

22

197

$668

129

822

1,954

15

193

$702

134

710

1,907

20

173

$827

129

675

1,841

17

166

$773


Equity: < 1 yr Equity: 1-5 yr Equity: > 5 yrs

Note: Figures above exclude foreign exchange contracts with an original maturity of 14 days or less, written options, basis swaps, and any other contracts not subject to risk-based capital requirements.Data Source: Call reports

2010 2011 2012 2013 2014 2015 2016

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

$0

$2,000

$4,000

$6,000

$8,000

$10,000

$12,000

$14,000

$16,000

in billions

Graph 14Notional Amounts of Credit Derivative Contracts by Credit Quality and MaturityInsured U.S. Commercial Banks and Savings Associations

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

Investment-Grade: < 1yr

Investment-Grade: 1-5 yrs

Investment-Grade: > 5 yrs

Total Investment Grade $8,326

736

5,832

$1,757

$8,723

1,200

5,580

$1,943

$8,592

1,104

5,567

$1,921

$8,513

1,386

5,519

$1,607

$7,455

409

5,661

$1,384

$8,228

552

6,127

$1,548

$8,541

455

6,536

$1,550

$8,906

948

6,168

$1,790

$6,764

382

5,007

$1,375

$7,633

433

5,722

$1,478

$8,064

448

5,909

$1,707

$8,218

577

6,227

$1,414

$4,990

281

3,328

$1,380

$5,898

520

4,108

$1,270

$6,101

359

4,450

$1,292

$6,413

508

4,649

$1,256

$4,601

385

2,765

$1,451

$4,911

262

3,101

$1,549

$5,328

457

3,400

$1,471


2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

Sub-Investment-Grade: < 1yr

Sub-Investment-Grade: 1-5 yrs

Sub-Investment-Grade: > 5 yrs

Total Sub-Investment Grade $4,865

352

3,473

1,040

$5,275

623

3,349

1,303

$5,032

541

3,139

1,353

$5,538

835

3,413

1,290

$3,736

179

2,792

765

$4,565

262

3,424

879

$4,786

197

3,656

933

$4,995

414

3,491

1,090

$2,685

140

1,887

658

$2,775

157

1,948

671

$2,763

160

1,960

642

$2,946

200

2,127

619

$1,997

119

1,271

607

$2,299

213

1,518

569

$2,387

152

1,673

562

$2,604

194

1,813

596

$1,962

157

1,122

683

$1,943

101

1,159

683

$2,090

155

1,313

622

Investment-Grade: < 1yr

Investment-Grade: 1-5 yrs

Investment-Grade: > 5 yrs

Sub-Investment-Grade: < 1yr

Sub-Investment-Grade: 1-5 yrs

Sub-Investment-Grade: > 5 yrs

Note: Figures exclude FX contracts with an original maturity of 14 days or less, written options, basis swaps, and any other contracts not subject to risk-based capital requirements.Source: Call reports

Interest Rate Foreign Exchange Equity Precious Metals Credit

Investment Grade Non-Investment Grade

OtherBAC CGS

HSBC

JPMMS

WFCBAC C

GS

HSBC

JPM

MS

WFCBAC CGS

HSBC

JPMMS

WFCBAC C

GS

HSBC

JPM

MS

WFCBAC CGS

HSBC

JPMMS

WFCBAC C

GS

HSBC

JPM

MS

WFCBAC CGS

HSBC

JPMMS

WFC

$0

$20,000

$40,000

in billions

Graph 15Notional Amounts of Over-the-Counter and Centrally Cleared Derivative ContractsInsured U.S. Commercial Banks and Savings Associations

Bank Name

Interest Rate

CentrallyCleared

Over-the-Counter

Foreign Exchange

CentrallyCleared

Over-the-Counter

Equity

CentrallyCleared

Over-the-Counter

Precious Metals

CentrallyCleared

Over-the-Counter

Credit

Investment Grade

CentrallyCleared

Over-the-Counter

Non-InvestmentGrade

CentrallyCleared

Over-the-Counter

Other

CentrallyCleared

Over-the-Counter

JPMCBACGSHSBCWFCMSGrand Total 73,688

01,091975

26,6195,25814,03225,713

71,3050

4,7731,5819,41014,41218,36422,764

30,3941,7453811,0698255,5139,93810,924

1774000507449

2,10605138632763321,346

607029005530493

3001600717

20000020

3,8586126855841,5941,562

9350050

334168428

1,6042163864431482571

29304100

10261116

8410210121981707

1390230005561


Bank Name

Interest Rate

CentrallyCleared

Over-the-Counter

Foreign Exchange

CentrallyCleared

Over-the-Counter

Equity

CentrallyCleared

Over-the-Counter

Precious Metals

CentrallyCleared

Over-the-Counter

Credit

Investment Grade

CentrallyCleared

Over-the-Counter

Non-InvestmentGrade

CentrallyCleared

Over-the-Counter

Other

CentrallyCleared

Over-the-Counter

JPMCBACGSHSBCWFCMS 100%

19%38%74%27%43%53%

0%81%62%26%73%57%47%

100%100%100%100%99%99%100%

0%0%0%0%1%1%0%

100%64%100%100%83%92%73%

0%36%0%0%17%8%27%

100%100%

79%100%

0%0%

21%0%

100%99%84%100%64%90%78%

0%1%16%0%36%10%22%

100%80%79%100%81%89%83%

0%20%21%0%19%11%17%

48%100%100%100%59%92%

52%0%0%0%41%8%

% of Total

1,2781,086 2,3132 380 00 80 60 391

ALL OTHER

74,96672,391 32,707178 2,144607 302 3,866935 1,610293 880140

TOTAL

TotalCentrallyCleared

Over-the-

Counter

TotalNotional

174,1451,2646,8883,80433,62922,84143,54462,174

105,5171,2601,6182,17525,63310,76523,69440,372

68,6284

5,2701,6307,99612,07619,85021,802

4,7113,5511,160

178,856109,06869,788

TotalCentrallyClearedas a % ofTotal

Notional

TotalOver-the-Counteras a % ofTotal

Notional

100%23%57%76%47%54%65%

0%77%43%24%53%46%35%

Over-the-Counter

Total CentrallyCleared

$0

$50,000

$100,000

ALL BANKS

Source: Call reports, Schedule RC-R.

Centrally Cleared

Over-the-Counter

2009 Q1 2009 Q3 2010 Q1 2010 Q3 2011 Q1 2011 Q3 2012 Q1 2012 Q3 2013 Q1 2013 Q3 2014 Q1 2014 Q3 2015 Q1 2015 Q3 2016 Q1 2016 Q3

$0

$50

$100

$150

$200

$250

$300

in millions

Graph 16Value-at-Risk (VaR)Insured U.S. Commercial Banks and Savings Associations

Bank of America Citigroup Goldman JPMorgan Morgan Stanley

2010

Q1 Q2 Q3 Q4

2011

Q1 Q2 Q3 Q4

2012

Q1 Q2 Q3 Q4

2013

Q1 Q2 Q3 Q4

2014

Q1 Q2 Q3 Q4

2015

Q1 Q2 Q3 Q4

2016

Q1 Q2 Q3

Bank of America

Citigroup

Goldman

JPMorgan

Morgan Stanley

Total 703

132

96

118

202

$155

751

142

109

121

194

$185

729

139

93

136

172

$189

858

143

98

161

180

$276

662

120

114

136

202

$90

711

130

108

102

207

$164

737

145

94

101

168

$229

685

121

88

113

179

$184

513

78

122

76

137

$100

443

63

115

81

129

$55

581

76

201

92

149

$63

611

84

170

95

178

$84

403

51

43

79

139

$91

354

52

47

84

117

$54

376

61

45

81

120

$69

422

72

73

76

110

$91

329

48

39

61

120

$61

323

42

36

68

121

$56

374

48

55

77

135

$59

414

50

42

82

156

$84

329

50

47

72

108

$52

357

53

54

74

116

$60

347

54

42

77

113

$61

373

47

43

81

131

$71

274

42

43

57

85

$47

295

46

45

62

88

$54

330

46

54

72

108

$50


Data Source: 10Q, 10k U.S.Securities and Exchange Commission Reports

TABLE 1

TOTALTOTAL TOTAL TOTAL TOTAL TOTAL CREDIT

TOTAL TOTAL FUTURES OPTIONS FORWARDS SWAPS OPTIONS DERIVATIVES SPOTRANK BANK NAME STATE ASSETS DERIVATIVES (EXCH TR) (EXCH TR) (OTC) (OTC) (OTC) (OTC) FX1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $1,717,391 $1,534,088 $9,372,373 $27,976,834 $7,949,033 $2,527,124 $813,0732 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 1,849,151 1,217,161 5,797,209 29,259,714 7,726,404 2,290,374 929,2123 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 1,678,475 2,657,532 3,655,190 23,915,446 5,981,165 165,580 10,3944 BANK OF AMERICA NA NC 1,659,793 21,973,095 1,129,973 157,706 6,138,719 11,670,687 1,516,309 1,359,701 464,5505 WELLS FARGO BANK NA SD 1,740,819 7,363,786 151,507 124,452 1,679,355 4,605,886 769,337 33,249 6,3766 HSBC NA VA 203,705 4,327,467 206,155 26,321 670,420 2,918,964 360,793 144,815 27,4297 MORGAN STANLEY BANK NA UT 126,826 1,571,981 21,275 11,522 325,735 660,404 544,694 8,351 48,2198 STATE STREET BANK&TRUST CO MA 251,545 1,289,761 6,467 0 1,250,815 5,004 27,474 0 64,9759 BANK OF NEW YORK MELLON NY 299,651 957,904 19,738 61 533,475 360,776 43,676 178 53,82210 PNC BANK NATIONAL ASSN DE 357,859 351,043 24,438 0 26,703 270,829 22,625 6,448 77111 SUNTRUST BANK GA 200,201 272,538 20,508 15,283 21,784 147,242 62,725 4,996 14712 U S BANK NATIONAL ASSN OH 448,401 269,493 8,427 3,300 60,527 166,617 25,657 4,965 2,20613 NORTHERN TRUST CO IL 119,702 266,164 0 0 250,952 14,121 1,091 0 16,89114 MUFG UNION BANK NA CA 116,912 178,192 3,617 0 98,986 67,217 8,363 10 41615 TD BANK NATIONAL ASSN DE 264,528 176,011 0 0 7,522 166,928 958 603 1016 CAPITAL ONE NATIONAL ASSN VA 279,255 88,747 164 0 2,382 83,840 160 2,201 2517 REGIONS BANK AL 124,196 83,609 4,676 0 18,021 54,512 4,100 2,301 918 KEYBANK NATIONAL ASSN OH 101,265 77,400 6,695 0 7,579 56,449 6,114 562 67519 CITIZENS BANK NATIONAL ASSN RI 114,605 74,208 0 0 9,923 56,749 5,109 2,427 21220 FIFTH THIRD BANK OH 140,771 68,701 346 32 6,293 46,822 12,455 2,753 33021 BRANCH BANKING&TRUST CO NC 217,378 58,801 564 0 11,564 40,760 5,912 0 4322 BOKF NATIONAL ASSN OK 32,669 50,849 160 466 45,059 3,101 2,059 4 1323 HUNTINGTON NATIONAL BANK OH 100,416 38,153 113 0 2,838 32,742 976 1,484 1524 CAPITAL ONE BANK USA NA VA 105,930 36,871 0 0 7,977 28,895 0 0 5225 COMPASS BANK AL 84,983 36,129 210 0 1,486 26,047 8,385 0 76

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $10,724,731 $176,881,147 $6,850,048 $5,747,923 $30,002,887 $102,636,587 $25,085,576 $6,558,126 $2,439,940OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 4,461,122 579,691 7,813 2,138 97,604 377,324 90,473 4,339 1,416TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 6,857,861 5,750,061 30,100,491 103,013,911 25,176,049 6,562,465 2,441,356

Note: Before the first quarter of 1995 total derivatives included spot FX. Beginning in that quarter, spot FX has been reported separately.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-L

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTSTOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

SEPTEMBER 30, 2016, MILLIONS OF DOLLARS

Note: Credit derivatives have been included in the sum of total derivatives. Credit derivatives have been included as an "over the counter" category, although the call report does not differentiate by market currently.

TABLE 2

CREDITTOTAL TOTAL FUTURES OPTIONS FORWARDS SWAPS OPTIONS DERIVATIVES SPOT

RANK HOLDING COMPANY STATE ASSETS DERIVATIVES (EXCH TR) (EXCH TR) (OTC) (OTC) (OTC) (OTC) FX1 CITIGROUP INC. NY $1,818,117 $51,789,991 $2,030,668 $6,086,903 $6,698,060 $27,362,447 $7,511,849 $2,100,064 $927,3972 JPMORGAN CHASE & CO. NY 2,521,029 50,667,476 1,855,158 1,645,547 9,724,579 27,269,117 7,628,722 2,544,353 795,9483 GOLDMAN SACHS GROUP, INC., THE NY 880,006 45,480,638 2,050,785 3,874,848 6,130,516 24,103,222 7,683,000 1,638,267 282,7944 BANK OF AMERICA CORPORATION NC 2,198,884 35,602,230 1,533,397 858,191 8,529,313 19,534,871 3,456,712 1,689,746 455,6115 MORGAN STANLEY NY 813,891 28,379,530 2,145,622 1,558,418 2,832,896 15,486,517 5,257,601 1,098,476 60,8206 HSBC NORTH AMERICA HOLDINGS INC. NY 304,439 11,533,150 339,994 429,968 671,272 9,579,508 367,593 144,815 27,4297 WELLS FARGO & COMPANY CA 1,942,124 7,266,148 157,381 148,400 1,709,847 4,452,446 765,672 32,402 6,3738 MIZUHO AMERICAS LLC NY 46,763 5,019,054 28,868 2,830 439,333 4,433,869 110,381 3,773 2,1849 STATE STREET CORPORATION MA 256,145 1,297,850 6,748 0 1,250,899 12,729 27,474 0 64,97510 CREDIT SUISSE HOLDINGS (USA), INC. NY 222,973 1,129,366 45,625 7,463 926,815 83,858 5,707 59,897 011 BANK OF NEW YORK MELLON CORPORATION, THE NY 374,114 974,717 20,657 6,728 564,103 339,375 43,676 178 53,76312 BARCLAYS US LLC NY 221,861 875,466 32,630 241,673 366,703 24,153 75,969 134,338 013 RBC USA HOLDCO CORPORATION NY 142,593 601,934 220,597 172,753 142,201 65,314 626 441 12814 PNC FINANCIAL SERVICES GROUP, INC., THE PA 369,442 348,016 24,822 20 28,754 265,572 22,400 6,448 77115 U.S. BANCORP MN 454,134 272,619 8,426 3,300 61,098 169,422 25,658 4,715 2,20616 SUNTRUST BANKS, INC. GA 205,247 271,155 20,665 15,283 21,784 146,242 61,725 5,456 14717 NORTHERN TRUST CORPORATION IL 120,085 265,414 0 0 250,952 13,371 1,091 0 16,89118 TD GROUP US HOLDINGS LLC DE 338,720 252,882 58,672 4,501 9,653 178,393 958 704 1019 MUFG AMERICAS HOLDINGS CORPORATION NY 151,117 189,307 8,336 0 104,869 67,730 8,363 10 41720 DB USA CORPORATION NY 203,360 184,162 13,898 113,316 42,939 7,389 6,200 420 021 CAPITAL ONE FINANCIAL CORPORATION VA 345,187 133,368 164 0 10,520 120,325 160 2,201 7722 BNP PARIBAS USA, INC. NY 146,765 108,914 10 46 85,186 20,907 2,764 0 1623 KEYCORP OH 136,228 90,229 6,695 0 7,795 67,762 7,419 557 67624 REGIONS FINANCIAL CORPORATION AL 125,307 82,509 4,676 0 18,021 53,412 4,100 2,301 925 CITIZENS FINANCIAL GROUP, INC. RI 147,442 81,991 0 0 9,923 63,492 5,711 2,865 212

TOP 25 HOLDING COMPANIES WITH DERIVATIVES $14,485,974 $242,898,116 $10,614,493 $15,170,188 $40,638,032 $133,921,446 $33,081,530 $9,472,426 $2,698,854

Note: Currently, the Y-9 report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives.Note: Before to the first quarter of 2005, total derivatives included spot FX. Beginning in that quarter, spot FX has been reported separately.Note: Numbers may not total due to rounding.Source: Consolidated Financial Statements for Bank Holding Companies, FR Y- 9, Schedule HC-L

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS (HOLDING COMPANIES)TOP 25 HOLDING COMPANIES IN DERIVATIVESSEPTEMBER 30, 2016, MILLIONS OF DOLLARS

TABLE 3

PERCENT PERCENT PERCENT PERCENT PERCENT PERCENTTOTAL TOTAL EXCH TRADED OTC INT RATE FOREIGN EXCH OTHER CREDIT

RANK BANK NAME STATE ASSETS DERIVATIVES CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS DERIVATIVES(%) (%) (%) (%) (%) (%)

1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 6.4 93.6 70.3 20.3 4.5 4.92 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 6.4 93.6 69.9 23.5 1.9 4.83 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 11.4 88.6 93.5 5.9 0.2 0.44 BANK OF AMERICA NA NC 1,659,793 21,973,095 5.9 94.1 71.2 21.1 1.5 6.25 WELLS FARGO BANK NA SD 1,740,819 7,363,786 3.7 96.3 91.1 5.5 3.0 0.56 HSBC NA VA 203,705 4,327,467 5.4 94.6 66.3 27.7 2.6 3.37 MORGAN STANLEY BANK NA UT 126,826 1,571,981 2.1 97.9 1.3 98.1 0.0 0.58 STATE STREET BANK&TRUST CO MA 251,545 1,289,761 0.5 99.5 0.7 97.2 2.1 0.09 BANK OF NEW YORK MELLON NY 299,651 957,904 2.1 97.9 43.1 56.8 0.1 0.010 PNC BANK NATIONAL ASSN DE 357,859 351,043 7.0 93.0 92.7 4.4 1.1 1.811 SUNTRUST BANK GA 200,201 272,538 13.1 86.9 77.1 2.6 18.5 1.812 U S BANK NATIONAL ASSN OH 448,401 269,493 4.4 95.6 79.7 18.2 0.3 1.813 NORTHERN TRUST CO IL 119,702 266,164 0.0 100.0 5.2 94.7 0.1 0.014 MUFG UNION BANK NA CA 116,912 178,192 2.0 98.0 93.1 3.6 3.3 0.015 TD BANK NATIONAL ASSN DE 264,528 176,011 0.0 100.0 92.3 7.4 0.0 0.316 CAPITAL ONE NATIONAL ASSN VA 279,255 88,747 0.2 99.8 94.1 0.7 2.7 2.517 REGIONS BANK AL 124,196 83,609 5.6 94.4 93.7 2.5 1.0 2.818 KEYBANK NATIONAL ASSN OH 101,265 77,400 8.7 91.3 90.4 8.4 0.5 0.719 CITIZENS BANK NATIONAL ASSN RI 114,605 74,208 0.0 100.0 85.8 10.9 0.0 3.320 FIFTH THIRD BANK OH 140,771 68,701 0.5 99.5 72.2 18.5 5.3 4.021 BRANCH BANKING&TRUST CO NC 217,378 58,801 1.0 99.0 99.1 0.9 0.0 0.022 BOKF NATIONAL ASSN OK 32,669 50,849 1.2 98.8 94.4 2.2 3.4 0.023 HUNTINGTON NATIONAL BANK OH 100,416 38,153 0.3 99.7 87.7 4.8 3.6 3.924 CAPITAL ONE BANK USA NA VA 105,930 36,871 0.0 100.0 78.4 21.6 0.0 0.025 COMPASS BANK AL 84,983 36,129 0.6 99.4 92.0 3.5 4.6 0.0

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $10,724,731 $176,881,147 $12,597,971 $164,283,176 $132,452,881 $33,832,720 $60 $6,558,126OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 4,461,122 579,691 9,951 569,740 540,063 25,641 1,415 4,339TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 12,607,922 164,852,916 132,992,944 33,858,361 1,475 6,562,465

(%) (%) (%) (%) (%) (%) (%)TOP 25 COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVE 99.7 7.1 92.6 74.6 19.1 0.0 3.7OTHER COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 0.3 0.0 0.3 0.3 0.0 0.0 0.0TOTAL FOR COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVAT 100.0 7.1 92.9 74.9 19.1 0.0 3.7

Note: "FX" does not include spot FX.

Note: "Other" is defined as the sum of commodity and equity contracts.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-L

DISTRIBUTION OF DERIVATIVE CONTRACTSTOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


Note: Currently, the call report does not differentiate credit derivatives by over the counter or exchange traded. Credit derivatives have been included in the "over the counter" category as well as in the sum of total derivatives here.

TABLE 4

BILATERALLY TOTAL CREDIT (%)TOTAL NETTED CURRENT POTENTIAL EXPOSURE TOTAL CREDIT

TOTAL TOTAL RISK-BASED CREDIT FUTURE FROM ALL EXPOSURERANK BANK NAME STATE ASSETS DERIVATIVES CAPITAL EXPOSURE EXPOSURE CONTRACTS TO CAPITAL1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $182,984 $165,756 $228,933 $394,689 2162 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 140,425 125,293 138,845 264,138 1883 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 26,502 71,786 42,980 114,766 4334 BANK OF AMERICA NA NC 1,659,793 21,973,095 167,037 43,758 70,040 113,798 685 WELLS FARGO BANK NA SD 1,740,819 7,363,786 145,757 26,025 28,766 54,791 386 HSBC NA VA 203,705 4,327,467 26,715 9,993 13,609 23,602 887 MORGAN STANLEY BANK NA UT 126,826 1,571,981 14,577 1,291 5,076 6,367 448 STATE STREET BANK&TRUST CO MA 251,545 1,289,761 17,092 4,171 8,006 12,178 719 BANK OF NEW YORK MELLON NY 299,651 957,904 19,074 5,070 5,170 10,240 5410 PNC BANK NATIONAL ASSN DE 357,859 351,043 36,217 4,140 454 4,594 1311 SUNTRUST BANK GA 200,201 272,538 21,223 1,980 2,865 4,845 2312 U S BANK NATIONAL ASSN OH 448,401 269,493 44,330 1,329 4,389 5,718 1313 NORTHERN TRUST CO IL 119,702 266,164 9,420 1,329 1,975 3,304 3514 MUFG UNION BANK NA CA 116,912 178,192 14,435 1,566 344 1,911 1315 TD BANK NATIONAL ASSN DE 264,528 176,011 22,831 3,280 1,286 4,566 2016 CAPITAL ONE NATIONAL ASSN VA 279,255 88,747 23,026 1,387 1,141 2,528 1117 REGIONS BANK AL 124,196 83,609 14,369 559 572 1,131 818 KEYBANK NATIONAL ASSN OH 101,265 77,400 11,219 1,051 333 1,385 1219 CITIZENS BANK NATIONAL ASSN RI 114,605 74,208 13,345 1,048 527 1,575 1220 FIFTH THIRD BANK OH 140,771 68,701 16,435 1,047 851 1,899 1221 BRANCH BANKING&TRUST CO NC 217,378 58,801 23,129 1,132 579 1,712 722 BOKF NATIONAL ASSN OK 32,669 50,849 2,824 280 152 431 1523 HUNTINGTON NATIONAL BANK OH 100,416 38,153 10,261 482 350 832 824 CAPITAL ONE BANK USA NA VA 105,930 36,871 13,905 556 170 726 525 COMPASS BANK AL 84,983 36,129 9,004 696 286 983 11

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $10,724,731 $176,881,147 $1,026,136 $475,006 $557,701 $1,032,707 101OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 4,461,122 579,691 479,846 6,727 4,301 11,028 2TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 1,505,982 481,732 562,002 1,043,734 69

Note: Total credit exposure is defined as the credit equivalent amount from derivative contracts (RC-R column B lines 20 and 21), which is the sum of netted current credit exposure and PFE.Note: The total credit exposure to capital ratio is calculated using risk based capital (tier 1 plus tier 2 capital). Note: Currently, the call report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives here.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-R.

CREDIT EQUIVALENT EXPOSURESTOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


TABLE 5

TOTAL % TOTAL %HELD FOR HELD FOR NOT FOR NOT FOR

TOTAL TOTAL TRADING TRADING TRADING TRADINGRANK BANK NAME STATE ASSETS DERIVATIVES & MTM & MTM MTM MTM1 JPMORGAN CHASE BANK NA OH $2,118,497 $48,549,719 $48,209,325 99.3 $340,394 0.72 CITIBANK NATIONAL ASSN SD 1,356,393 45,849,639 45,752,457 99.8 97,182 0.23 GOLDMAN SACHS BANK USA NY 158,429 37,887,808 37,851,459 99.9 36,349 0.14 BANK OF AMERICA NA NC 1,659,793 20,613,394 19,669,204 95.4 944,190 4.6

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $152,900,560 $151,482,445 99.1 $1,418,115 0.9OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 17,997,812 16,390,696 91.1 1,607,116 8.9TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 170,898,372 167,873,141 98.2 3,025,231 1.8

Note: Currently, the call report does not differentiate between traded and not-traded credit derivatives. Credit derivatives have been excluded from the sum of total derivatives here.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-L

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS HELD FOR TRADINGTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


TABLE 6

GROSS GROSS GROSS GROSS GROSS GROSSTOTAL TOTAL POSITIVE NEGATIVE POSITIVE NEGATIVE POSITIVE NEGATIVE

RANK BANK NAME STATE ASSETS DERIVATIVES FAIR VALUE* FAIR VALUE** FAIR VALUE* FAIR VALUE** FAIR VALUE* FAIR VALUE**1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $1,096,459 $1,058,949 $3,276 $6,288 $35,049 $34,8642 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 705,260 694,291 761 1,658 33,062 33,7563 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 992,930 957,414 684 7 3,266 2,8954 BANK OF AMERICA NA NC 1,659,793 21,973,095 340,422 335,563 37,484 41,839 17,019 16,769

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $159,243,339 $3,135,071 $3,046,217 $42,205 $49,792 $88,396 $88,284OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 18,217,499 268,591 268,628 26,371 17,477 2,667 2,482TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 3,403,662 3,314,845 68,576 67,269 91,063 90,766

Note: Currently, the call report does not differentiate between traded and non-traded credit derivatives. Credit derivatives have been included in the sum of total derivatives here. Numbers may not sum due to rounding.*Market value of contracts that have a positive fair value as of the end of the quarter.**Market value of contracts that have a negative fair value as of the end of the quarter.Source: Call reports, Schedule RC-L

GROSS FAIR VALUES OF DERIVATIVE CONTRACTSTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


TRADING NOT FOR TRADING CREDIT DERIVATIVES

TABLE 7

TOTAL TRADING TRADING REV TRADING REV TRADING REV TRADING REV TRADING REVREV FROM CASH & FROM FROM FROM FROM FROM

TOTAL TOTAL OFF BAL SHEET INT RATE FOREIGN EXCH EQUITY COMMOD & OTH CREDITRANK BANK NAME STATE ASSETS DERIVATIVES POSITIONS POSITIONS POSITIONS POSITIONS POSITIONS POSITIONS1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $2,938 $1,158 $777 $619 $200 $1842 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 977 668 472 (29) 13 (147)3 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 136 (4) 228 18 0 (106)4 BANK OF AMERICA NA NC 1,659,793 21,973,095 833 184 318 112 51 168

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $159,243,339 $4,884 $2,006 $1,795 $720 $264 $99OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 18,217,499 1,539 954 499 9 89 (13)TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 6,423 2,960 2,294 729 353 86

Note: Trading revenue is defined here as "trading revenue from cash instruments and off-balance-sheet derivative instruments."Note: Numbers may not sum due to rounding.Source: Call reports, Schedule RI

Note: Effective in the first quarter of 2007, trading revenues from credit exposures are reported separately, along with the four other types of exposures. The total derivatives column includes credit exposures.

TRADING REVENUES FROM CASH INSTRUMENTS AND DERIVATIVESTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

SEPTEMBER 30, 2016, MILLIONS OF DOLLARSNOTE: REVENUE FIGURES ARE FOR THE QUARTER (NOT YEAR-TO-DATE)

TABLE 8

INT RATE INT RATE INT RATE INT RATE FX and GOLD FX and GOLD FX and GOLD FX and GOLDTOTAL TOTAL MATURITY MATURITY MATURITY ALL MATURITY MATURITY MATURITY ALL

RANK BANK NAME STATE ASSETS DERIVATIVES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $20,665,554 $14,910,917 $10,194,467 $45,770,938 $8,234,823 $1,969,019 $997,356 $11,201,1982 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 14,022,701 10,187,259 6,470,742 30,680,702 8,555,608 1,085,342 437,195 10,078,1453 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 11,855,378 11,158,403 9,515,079 32,528,860 535,441 187,095 150,492 873,0284 BANK OF AMERICA NA NC 1,659,793 21,973,095 8,226,618 5,099,775 3,172,314 16,498,707 3,904,574 533,744 204,383 4,642,701

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $159,243,339 $54,770,251 $41,356,354 $29,352,602 $125,479,207 $21,230,446 $3,775,200 $1,789,426 $26,795,072OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 18,217,499 4,104,612 4,026,364 3,169,469 11,300,445 4,567,319 320,973 111,955 5,000,247TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 58,874,863 45,382,718 32,522,071 136,779,652 25,797,765 4,096,173 1,901,381 31,795,319

Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps.Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.

Note: Numbers may not add due to rounding.Note: Effective 2015 Q1, the reporting form and call report instructions changed. Schedule RC-R now requires banks to report FX and gold notional amounts in aggregate, rather than separately.Source: Call reports, Schedule RC-R

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITYTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


TABLE 9

PREC METALS PREC METALS PREC METALS PREC METALSTOTAL TOTAL MATURITY MATURITY MATURITY ALL

RANK BANK NAME STATE ASSETS DERIVATIVES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $19,178 $1,719 $0 $20,8972 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 12,378 684 0 13,0623 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 0 0 0 04 BANK OF AMERICA NA NC 1,659,793 21,973,095 0 0 0 0

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $159,243,339 $31,556 $2,403 $0 $33,959OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 18,217,499 9,035 784 1 9,820TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 40,591 3,187 1 43,779

Note:

Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-R

Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.

SEPTEMBER 30, 2016, MILLIONS OF DOLLARSTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE & MATURITY

TABLE 10

OTHER COMM OTHER COMM OTHER COMM OTHER COMM EQUITY EQUITY EQUITY EQUITYTOTAL TOTAL MATURITY MATURITY MATURITY ALL MATURITY MATURITY MATURITY ALL

RANK BANK NAME STATE ASSETS DERIVATIVES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $583,662 $85,790 $9,636 $679,088 $1,305,687 $571,226 $98,172 $1,975,0852 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 76,903 42,796 4,233 123,932 253,240 121,198 10,168 384,6063 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 1,748 1,821 0 3,569 35,628 16,392 10,219 62,2394 BANK OF AMERICA NA NC 1,659,793 21,973,095 11,836 5,598 27 17,461 265,118 62,280 1,358 328,756

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $159,243,339 $674,149 $136,005 $13,896 $824,050 $1,859,673 $771,096 $119,917 $2,750,686OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 18,217,499 27,850 56,840 1,189 85,880 94,719 50,748 9,309 154,776TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 701,999 192,845 15,085 909,930 1,954,392 821,844 129,226 2,905,462

Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-R

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITYTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


TABLE 11

TOTAL TOTAL TOTAL CREDIT MATURITY MATURITY MATURITY ALL MATURITY MATURITY MATURITY ALLRANK BANK NAME STATE ASSETS DERIVATIVES DERIVATIVES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES < 1 YR 1 - 5 YRS > 5 YRS MATURITIES1 JPMORGAN CHASE BANK NA OH $2,118,497 $51,076,843 $2,527,124 $550,203 $1,039,502 $155,715 $1,745,420 $293,061 $426,193 $62,450 $781,7042 CITIBANK NATIONAL ASSN SD 1,356,393 48,140,013 2,290,374 529,584 1,064,534 145,432 1,739,550 152,381 357,410 41,033 550,8243 GOLDMAN SACHS BANK USA NY 158,429 38,053,388 165,580 22,340 50,206 15,636 88,182 23,245 41,684 12,469 77,3984 BANK OF AMERICA NA NC 1,659,793 21,973,095 1,359,701 315,735 551,169 57,652 924,556 184,255 226,820 24,070 435,145

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $5,293,112 $159,243,339 $6,342,779 $1,417,862 $2,705,411 $374,435 $4,497,708 $652,942 $1,052,107 $140,022 $1,845,071OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 9,892,742 18,217,499 219,686 33,113 59,397 10,518 103,029 30,449 69,687 16,522 116,658TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 177,460,838 6,562,465 1,450,975 2,764,808 384,953 4,600,737 683,391 1,121,794 156,544 1,961,729

Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-L and RC-R

INVESTMENT GRADE SUB-INVESTMENT GRADE

NOTIONAL AMOUNTS OF CREDIT DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITYTOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


CREDIT DERIVATIVES CREDIT DERIVATIVES

TABLE 12

TOTAL CREDIT TOTAL OTHER CREDIT TOTAL OTHERTOTAL TOTAL CREDIT DEFAULT RETURN CREDIT CREDIT DEFAULT RETURN CREDIT CREDIT

RANK BANK NAME STATE ASSETS DERIVATIVES DERVATIVES BOUGHT SOLD SWAPS SWAPS OPTIONS DERIVATIVES SWAPS SWAPS OPTIONS DERIVATIVES1 JPMORGAN CHASE BANK NA OH $2,118,497 $48,549,719 $2,527,124 $1,287,974 $1,239,150 $1,229,006 $19,829 $33,877 $5,262 $1,207,903 $4,779 $26,460 $82 CITIBANK NATIONAL ASSN SD 1,356,393 45,849,639 2,290,374 1,167,620 1,122,754 1,083,836 42,283 41,501 0 1,055,834 28,754 38,166 03 GOLDMAN SACHS BANK USA NY 158,429 37,887,808 165,580 90,936 74,644 87,346 3,357 158 75 71,232 2,907 134 3714 BANK OF AMERICA NA NC 1,659,793 20,613,394 1,359,701 676,118 683,583 653,455 11,158 11,505 0 646,097 14,439 23,047 05 WELLS FARGO BANK NA SD 1,740,819 7,330,537 33,249 22,329 10,920 4,398 0 350 17,581 3,555 0 31 7,3346 HSBC NA VA 203,705 4,182,652 144,815 75,875 68,940 67,748 8,127 0 0 65,752 3,188 0 07 MORGAN STANLEY BANK NA UT 126,826 1,563,630 8,351 8,351 0 8,351 0 0 0 0 0 0 08 STATE STREET BANK&TRUST CO MA 251,545 1,289,761 0 0 0 0 0 0 0 0 0 0 09 BANK OF NEW YORK MELLON NY 299,651 957,726 178 178 0 178 0 0 0 0 0 0 010 PNC BANK NATIONAL ASSN DE 357,859 344,595 6,448 2,561 3,887 50 0 0 2,511 0 0 0 3,88711 SUNTRUST BANK GA 200,201 267,542 4,996 2,829 2,167 665 2,158 0 6 0 2,158 0 812 U S BANK NATIONAL ASSN OH 448,401 264,528 4,965 1,573 3,392 285 0 0 1,288 250 0 0 3,14213 NORTHERN TRUST CO IL 119,702 266,164 0 0 0 0 0 0 0 0 0 0 014 MUFG UNION BANK NA CA 116,912 178,182 10 10 0 10 0 0 0 0 0 0 015 TD BANK NATIONAL ASSN DE 264,528 175,408 603 598 5 598 0 0 0 5 0 0 016 CAPITAL ONE NATIONAL ASSN VA 279,255 86,546 2,201 775 1,426 0 0 0 775 0 0 0 1,42617 REGIONS BANK AL 124,196 81,309 2,301 614 1,687 58 0 0 556 5 0 0 1,68218 KEYBANK NATIONAL ASSN OH 101,265 76,838 562 418 145 418 0 0 0 52 93 0 019 CITIZENS BANK NATIONAL ASSN RI 114,605 71,781 2,427 0 2,427 0 0 0 0 0 0 0 2,42720 FIFTH THIRD BANK OH 140,771 65,948 2,753 280 2,473 0 0 0 280 0 0 0 2,47321 BRANCH BANKING&TRUST CO NC 217,378 58,801 0 0 0 0 0 0 0 0 0 0 022 BOKF NATIONAL ASSN OK 32,669 50,844 4 2 2 2 0 0 0 2 0 0 023 HUNTINGTON NATIONAL BANK OH 100,416 36,669 1,484 925 560 0 0 0 925 0 0 0 56024 CAPITAL ONE BANK USA NA VA 105,930 36,871 0 0 0 0 0 0 0 0 0 0 025 COMPASS BANK AL 84,983 36,129 0 0 0 0 0 0 0 0 0 0 0

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES $10,724,731 $170,323,021 $6,558,126 $3,339,965 $3,218,161 $3,136,404 $86,912 $87,391 $29,258 $3,050,687 $56,319 $87,838 $23,317OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 4,461,122 575,352 4,339 1,582 2,757 64 78 0 1,439 269 2 0 2,486TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 15,185,854 170,898,372 6,562,465 3,341,547 3,220,918 3,136,468 86,990 87,391 30,698 3,050,956 56,320 87,838 25,803

(%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%)TOP 25 COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 99.9 50.9 49.0 47.8 1.3 1.3 0.4 46.5 0.9 1.3 0.4OTHER COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES 100.0 50.9 49.1 47.8 1.3 1.3 0.5 46.5 0.9 1.3 0.4

Note: Credit derivatives have been excluded from the sum of total derivatives here.Note: Numbers may not total due to rounding.Source: Call reports, Schedule RC-L

DERIVATIVES

DISTRIBUTION OF CREDIT DERIVATIVE CONTRACTS HELD FOR TRADINGTOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES


TOTAL CREDIT BOUGHT SOLD

Quarterly Report on Bank Trading And Derivatives … 30, 2016 · Equity $4,657 $3,612 $1,045 28.9% $3,196 $1,461 45.7% ... Quarterly Report on Bank Trading and Derivatives Activities,

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